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Cross-sectional averaging and instrumental variable estimation with many weak instruments

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  • Kapetanios, George
  • Marcellino, Massimiliano

Abstract

The present paper suggests a new way to carry out IV estimation with many instruments. Our suggestion is to cross-sectionally average the instruments and use these averages as instruments. We provide a theoretical and Monte Carlo analysis of this approach.

Suggested Citation

  • Kapetanios, George & Marcellino, Massimiliano, 2010. "Cross-sectional averaging and instrumental variable estimation with many weak instruments," Economics Letters, Elsevier, vol. 108(1), pages 36-39, July.
    • Handle: RePEc:eee:ecolet:v:108:y:2010:i:1:p:36-39
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    More about this item

    Keywords

    Instrumental variable estimation 2SLS Cross-sectional average;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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